This is a very difficult and important question.
I would like to first address the halachaic aspect of it,
Due to the special halchic status of a Cohen as he is holy for G-d he has extra restrictions for example he is not allowed to become impure by touching the corpse of a dead person and for that reason Cohanim are not allowed to enter a cemetery, so to there are special halchot with whom he is allowed to marry as the verse tells us that: they should not take (marry) a zonah chalala or a divorced women.
[1]
There is discussion in the Talmud which convert is forbidden to a Cohen while the chachomim hold any convert is prohibited to marry a Cohen, Rabbi Shimon is of the opinion that only one who converts over the age of three is prohibited to marry a Cohen yet if one converts a younger age they are allowed to marry a Cohen (this follows the halachic idea that things which have transpired to a girl under three do not carry on further) in the Talmud a story is brought how a Cohen married a women who converted under the age of three and rabbi Nachman (one of the leading Talmudic scholars ) coerced them to get divorced.
[2]
In leu to this discussion the halacha in the Shulchan aruch which obligates all of us is that any convert is prohibited to a Cohen no matter at what age he converted.
[3]
The punishment for marrying such a woman is lashes (while some hold lashes are administered only if she was actually married a gentile in her past the halacha is that in any case lashes are administered).
[4] a Cohen does not have the liberty to say I will pass on my specialty as a Cohen and marry this Jewish women who is forbidden to a Cohen and the Beis Yosef quotes from Rav Neturai Gaon writes that if a Cohen marries one against the halacha of a Cohen we banish him from connection to the jewish people in all aspects
[5].
A possible loophole is to find out if this Cohen is truly a Cohen as in truth many of those who hold themselves to be Cohanim are not necessarily Cohanim , for example if a women had a relationship with a gentile, and afterwards married a Cohen the children born are not Cohanim rather challaim and according to halacha they are allowed to marry a convert or a divorced women therefore it is proper that the Cohen meet with a orthodox rabbi who can possibly help him investigate his history to see maybe he isn’t really a Cohen .
[6]
It is important for us to know that although the situation is emotionally difficult for you, yet following the mitzvah of hashem is the best thing for you as the passuk / verse tells us that g-d has commanded us the mitzvois “ltov lanu” for our benefit for our good, and defintly the reward which you will receive by adhering the mitzvah is very great .
[7]
In practice you should go to a Rabbi with all the information and see if the Cohen is truly a Cohen and if he is then the best thing for both of you is to follow g-ds directive in the torah and not to proceed with this relationship.
[1] ויקרא ספר פרק כ””א פסוק ז
[2] יבמות דף ס”א ע”ב, ודף ס’ עמוד ה’.
[3]שולחן ערוך חלק אבן העזר סי’ ו’ ס”ט.
[4] שו”ע במקור הקודם – שם – כשיטת הרמב”ם.
[5] אבן העזר סי’ ו’ סעיף קטן ו’.
[6] אבן העזר סי’ ז’ סי”ב.
[7] דברים ו כד.
